Credit Risk, Innovations, and Regulations

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Financial Markets".

Deadline for manuscript submissions: closed (30 April 2022) | Viewed by 2287

Special Issue Editor


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Guest Editor
Department of Accounting and Finance, University of Wyoming College of Business, Laramie, WY 82071, USA
Interests: corporate bonds; municipal bonds; mortgage bonds; covenants; debt financing; information asymmetry and agency costs in borrowing; macro policy and borrowing; monetary policy and bonds

Special Issue Information

Dear Colleagues,

Since the global financial crisis of 2008, the markets for credit instruments have witnessed a burgeoning growth. Corporate and municipal bond markets account for the preponderance of non-sovereign finance not only in the major U.S. and European markets but also in emerging Asian markets. Mortgage-related instruments have been the central banks’ instruments of choice to implement unconventional quantitative easing. Innovative credit instruments have been created to shore up banks’ capital a world over. At the same time, a host of regulations such as Dodd-Franks in the U.S. or Basel III globally, have changed the landscape of credit risk management. Nevertheless, the unrelenting advent of credit instruments makes the big picture that much more complicated.

In this Special Issue, we aim to understand how the interplays amongst credit risk packaging and trading, financial innovations, and regulatory changes have shaped the landscape of credit risk management and pricing.

We invite investigators to contribute original research articles in theory, practice, and applications on credit risk, innovations, and regulations. All submissions must contain original unpublished work not being considered for publication elsewhere.

Prof. Dr. Ali Nejadmalayeri
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • Credit risk
  • Credit risk products
  • Corporate, municipal, and mortgage bonds
  • Banking and financial market regulations
  • Capital adequacy, liquidity, and insolvency risk

Published Papers (1 paper)

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Research

16 pages, 901 KiB  
Article
Kelly Criterion for Optimal Credit Allocation
by Son Tran and Peter Verhoeven
J. Risk Financial Manag. 2021, 14(9), 434; https://doi.org/10.3390/jrfm14090434 - 9 Sep 2021
Cited by 3 | Viewed by 1907
Abstract
The purpose of this study is to address the critical issue of optimal credit allocation. Predicting a borrower’s probability of default is a key requirement of any credit allocation system but turning it into labeled classes leads to problems in performance measurement. In [...] Read more.
The purpose of this study is to address the critical issue of optimal credit allocation. Predicting a borrower’s probability of default is a key requirement of any credit allocation system but turning it into labeled classes leads to problems in performance measurement. In this paper the connection between the probability of default and optimal credit allocation is established through a conceptual construct called the Kelly criterion. Conflicting performance measures in dichotomous classification are replaced with coherent criteria for judging the performance of credit allocation decisions. Extensive testing on peer-to-peer lending data shows that the Kelly strategy enables consistent outperformance and efficiency in processing information relative to alternative credit allocation approaches. Full article
(This article belongs to the Special Issue Credit Risk, Innovations, and Regulations)
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